Order Flow and Exchange Rate Dynamics
Journal of Political Economy, Vol. 110, February 2002
- 1,178Usage
- 1Captures
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Metrics Details
- Usage1,178
- Abstract Views1,178
- 1,178
- Captures1
- Exports-Saves1
- SSRN1
Paper Description
This paper presents an exchange rate model of a new kind. Instead of relying exclusively on macroeconomic determinants, the model includes a determinant from the field of microstructure finance - order flow. Order flow is a determinant because it conveys information. This is a radically different approach to exchange rates. It is also strikingly successful. Our model of daily deutsche mark/dollar log changes produces an R2 statistic above 60 percent. For the deutsche mark/dollar spot market as a whole, we find that $1 billion of net dollar purchases increases the deutsche mark price of a dollar by 0.5 percent.
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